Option pricing with transaction costs using a Markov chain approximation
From MaRDI portal
Publication:951502
DOI10.1016/S0165-1889(03)00059-9zbMath1179.91244MaRDI QIDQ951502
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
option pricingtransaction costssingular stochastic controlutility maximisationMarkov chain approximation
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (22)
Correlated continuous time random walk and option pricing ⋮ Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Dynamic portfolio optimization with transaction costs and state-dependent drift ⋮ On barrier option pricing in binomial market with transaction costs ⋮ Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION ⋮ Robust generalized Merton-type financial portfolio models with generalized utility ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Time-consistent actuarial valuations ⋮ Performance of utility-based strategies for hedging basis risk ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment ⋮ European option pricing with transaction costs in Lévy jump environment ⋮ UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ European option pricing and hedging with both fixed and proportional transaction costs ⋮ Utility-indifference pricing of European options with proportional transaction costs ⋮ Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs ⋮ Option hedging theory under transaction costs ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A simplified treatment of the theory of optimal regulation of Brownian motion
- Super contact and related optimality conditions
- A closed-form solution to the problem of super-replication under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- A problem of singular stochastic control with discretionary stopping
- Optimal investment and consumption with transaction costs
- On the possibility of hedging options in the presence of transaction costs
- Optimal delta-hedging under transactions costs
- Efficient hedging: cost versus shortfall risk
- On the pricing of contingent claims under constraints
- There is no nontrivial hedging portfolio for option pricing with transaction costs
- Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
- On dynamic measure of risk
- Pricing Via Utility Maximization and Entropy
- Coherent Measures of Risk
- Local Risk-Minimization Under Transaction Costs
- Numerical Methods for Stochastic Singular Control Problems
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Optimal design of derivatives in illiquid markets*
- European Option Pricing with Transaction Costs
- A note on super-replicating strategies
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
- Option pricing: A simplified approach
- Portfolio Selection with Transaction Costs
- Numerical Methods for Stochastic Control Problems in Continuous Time
This page was built for publication: Option pricing with transaction costs using a Markov chain approximation